FX SWAP (price and quantity) in Execution Report

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Imported from previous forum

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Each FX SWAP consists of 2 legs (the near leg & far leg). Each leg has its own quantity and price.

May I know what’s the market practice to put the value in these tags for FX SWAP? Each tag only can store 1 value which can be either near leg or far leg’s value. Is it common to have extra extra tags to store these 2 leg’s information?

E.g. we have a SWAP of 1M and 5M. Forward swap point for 1M is 3pips, Forward swap point for 5M is 7pips.

Then this 2 legs (1M & 5M) each has its own All-in rate. If the SWAP is uneven,then the quantity can be different as well.

tag 44 (Price) : All-in rate
tag 31 (LastPx) : All-in rate
tag 6 (AvgPx): All-in rate (same as tag 31)

tag 38 (OrderQty) : Refer to near leg ?
tag 151 (LeavesQty)
tag 14 (CumQty)

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Each FX SWAP consists of 2 legs (the near leg & far leg). Each leg has its own quantity and price.

May I know what’s the market practice to put the value in these tags for FX SWAP? Each tag only can store 1 value which can be either near leg or far leg’s value. Is it common to have extra extra tags to store these 2 leg’s information?

E.g. we have a SWAP of 1M and 5M. Forward swap point for 1M is 3pips, Forward swap point for 5M is 7pips.

Then this 2 legs (1M & 5M) each has its own All-in rate. If the SWAP is uneven,then the quantity can be different as well.

tag 44 (Price) : All-in rate
tag 31 (LastPx) : All-in rate
tag 6 (AvgPx): All-in rate (same as tag 31)

tag 38 (OrderQty) : Refer to near leg ?
tag 151 (LeavesQty)
tag 14 (CumQty)

There are fields such as SettlDate2 (#193), OrderQty2 (#192), LastForwradPoints2(#641), etc, that can be used for the far leg of a swap. The spot rate, of course, will be the same for both legs.

4

Each FX SWAP consists of 2 legs (the near leg & far leg). Each leg has its own quantity and price.

May I know what’s the market practice to put the value in these tags for FX SWAP? Each tag only can store 1 value which can be either near leg or far leg’s value. Is it common to have extra extra tags to store these 2 leg’s information?

E.g. we have a SWAP of 1M and 5M. Forward swap point for 1M is 3pips, Forward swap point for 5M is 7pips.

Then this 2 legs (1M & 5M) each has its own All-in rate. If the SWAP is uneven,then the quantity can be different as well.

tag 44 (Price) : All-in rate
tag 31 (LastPx) : All-in rate
tag 6 (AvgPx): All-in rate (same as tag 31)

tag 38 (OrderQty) : Refer to near leg ?
tag 151 (LeavesQty)
tag 14 (CumQty)

There are fields such as SettlDate2 (#193), OrderQty2 (#192), LastForwradPoints2(#641), etc, that can be used for the far leg of a swap. The spot rate, of course, will be the same for both legs.

In FIX5.0 the “no2” fields are deprecated and the multileg messages are used for swaps which handles there being more than 2 legs and various additional fields such as swap points, etc.